Adjustable light robust optimization with second order stochastic dominance constraints
Year of publication: |
2024
|
---|---|
Authors: | Ji, Xinzhi ; Guo, Ranran ; Ye, Wuyi |
Subject: | Light robustness | Portfolio selection | Robust optimization | Second-order stochastic dominance | Portfolio-Management | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Stochastischer Prozess | Stochastic process | Entscheidung unter Unsicherheit | Decision under uncertainty |
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